CME Options History — April 2017

In April 2017, CME traded between $115.19 and $120.10. ATM implied volatility averaged 19.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.5% (HV 20d: 13.7%). Max pain ranged from $117.00 to $124.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-04-11: Highest Volume — 10,206 contracts
  • 2017-04-11: Largest IV spike — 11.2% change
  • 2017-04-13: Highest IV Rank — 73.7%
  • 2017-04-11: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.58$115.19$120.10$117.53$115.99
Max Pain$120.47$117.00$124.00$124.00$117.00
ATM IV19.2%16.4%22.6%18.8%16.4%
Expected Move5.4%4.5%6.4%4.7%4.6%
HV 20d13.7%10.2%18.4%14.7%18.4%
HV 60d18.0%17.4%19.4%18.3%19.4%
IV Rank47.7%25.7%73.7%44.1%25.7%
IV Percentile63.0%21.4%97.6%58.3%21.4%
Term Structure-0.2%-1.8%1.9%-0.4%0.2%
VWIV19.1%15.6%22.1%17.6%15.6%
Skew 25d2.5%1.2%5.1%2.8%2.2%
Skew 10d5.0%0.8%10.2%4.3%4.5%
Call IV 25d18.3%15.7%22.8%17.7%15.7%
Put IV 25d20.9%17.8%24.1%20.5%17.8%
Bid-Ask Spread %27.9016.4563.2125.0421.99
Gamma HHI0.110.080.150.080.12
Net GEX2.0M-2.5M9.9M-974.0K3.8M
Net DEX-50.3M-113.1M-20.5M-31.7M-43.4M
Net VEX-973.8K-1.0M-875.8K-1.0M-891.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.410.860.690.53
Total Volume7,170.9476,11210,2067,4716,112
Total OI57,606.10553,01961,64855,35056,028

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$117.53$124.0018.8%4.7%14.7%44.1%17.6%2.8%-0.4%-974.0K-31.7M-1.0M0.6925.04N/AN/A4,4223,04930,44324,907
2017-04-04$117.20$124.0019.0%4.6%14.6%45.8%17.7%2.0%0.1%-1.0M-26.2M-1.0M0.6932.16N/AN/A4,3402,99431,34625,325
2017-04-05$117.65$124.0018.7%4.5%14.7%43.4%16.0%3.1%-0.4%-1.0M-33.6M-1.0M0.6833.95N/AN/A4,0232,73731,50925,504
2017-04-06$117.75$120.0018.4%5.3%14.5%41.3%20.1%2.0%0.4%-812.6K-36.4M-1.0M0.6519.93N/AN/A4,0692,64631,84625,739
2017-04-07$117.88$120.0018.6%5.3%14.6%43.1%19.8%1.6%-0.7%-807.4K-39.7M-989.7K0.5916.45N/AN/A4,6412,71932,13125,829
2017-04-10$117.20$120.0018.6%5.7%13.9%42.7%20.1%2.7%1.3%-2.2M-31.1M-985.3K0.6027.52N/AN/A4,3992,63831,63225,364
2017-04-11$116.96$120.0020.7%6.4%13.9%59.0%22.1%4.2%1.9%-2.5M-21.7M-984.5K0.4122.22N/AN/A7,2272,97932,10125,573
2017-04-12$116.46$120.0021.9%6.1%13.8%68.1%21.1%1.2%-0.5%-1.4M-26.3M-1.0M0.6427.13N/AN/A4,7013,01034,64725,898
2017-04-13$116.24$120.0022.6%6.1%13.7%73.7%20.2%5.1%-1.8%349.6K-20.5M-1.0M0.6624.14N/AN/A4,4432,94535,47126,177
2017-04-17$115.78$120.0021.3%5.9%13.7%63.5%19.6%3.4%-1.1%-443.6K-25.3M-990.0K0.7163.21N/AN/A3,7222,65034,77525,403
2017-04-18$117.31$120.0020.9%5.8%15.0%60.7%19.5%2.6%-0.9%1.5M-48.3M-980.2K0.8620.78N/AN/A3,7563,23534,86725,090
2017-04-19$117.08$120.0020.5%5.9%10.2%57.7%19.3%3.0%-1.4%1.6M-49.3M-963.4K0.7030.38N/AN/A3,7272,61734,97125,088
2017-04-20$119.23$120.0018.7%5.3%12.1%43.8%20.8%2.6%0.9%5.9M-81.1M-970.1K0.6320.22N/AN/A4,3482,72335,06725,220
2017-04-21$119.19$120.0019.1%5.5%12.1%46.6%20.5%2.0%-0.4%9.9M-86.2M-974.6K0.5922.47N/AN/A4,5122,68335,31425,284
2017-04-24$119.55$120.0018.0%5.2%11.7%37.7%18.1%2.4%0.2%7.1M-102.1M-939.5K0.6427.49N/AN/A4,3132,74131,87221,147
2017-04-25$119.78$120.0017.9%5.2%10.4%37.5%18.5%1.3%-1.1%8.1M-107.8M-933.2K0.6429.27N/AN/A3,7382,39032,93521,216
2017-04-26$120.10$120.0017.8%5.4%10.3%36.5%18.7%2.2%0.4%8.4M-113.1M-945.9K0.5534.67N/AN/A4,2222,33232,90121,243
2017-04-27$115.19$120.0017.6%5.0%18.2%35.3%17.0%2.1%0.2%3.0M-32.5M-875.8K0.6231.07N/AN/A5,2073,23833,29621,357
2017-04-28$115.99$117.0016.4%4.6%18.4%25.7%15.6%2.2%0.2%3.8M-43.4M-891.2K0.5321.99N/AN/A4,0072,10534,08521,943